SUPPLEMENT 4 H2O BARRY SHORT FUND

Transcription

1 SUPPLEMENT 4 H2O BARRY SHORT FUND Supplement dated 30 th November, 2016 to the Prospectus for H2O Global Strategies ICAV dated 22 nd December, This Supplement contains information relating specifically to the H2O Barry Short Fund (the Fund ), a Fund of H2O Global Strategies ICAV (the ICAV ), an open-ended umbrella type Irish collective assetmanagement vehicle with limited liability and segregated liability between sub-funds authorised by the Central Bank on 22 nd December, 2015 as a UCITS pursuant to the UCITS Regulations. The ICAV currently has four other Funds, namely, H2O Multi Aggregate Fund, H2O Multi Emerging Debt Fund, H2O Fidelio Fund and H2O Barry Active Value Fund. This Supplement forms part of and should be read in the context of and in conjunction with the Prospectus for the ICAV dated 22 nd December, 2015 (the Prospectus ) which immediately precedes this Supplement and is incorporated in this Prospectus. To the extent that there is any inconsistency between the Prospectus and this Supplement, the Supplement shall prevail. The Directors of the ICAV whose names appear in the Prospectus under the heading Management and Administration accept responsibility for the information contained in this Supplement and the Prospectus. To the best of the knowledge and belief of the Directors (who have taken all reasonable care to ensure that such is the case) such information is in accordance with the facts and does not omit anything likely to affect the import of such information. The Directors accept responsibility accordingly. Investors should read and consider the section entitled Risk Factors before investing in the Fund. The Fund may invest principally in financial derivative instruments and will also use such financial derivative instruments for efficient portfolio management and hedging purposes. The Fund s Net Asset Value may have an elevated volatility due to its investment policy. An investment in the UCITS should not constitute a substantial proportion of an investment portfolio and may not be appropriate for all investors. Further information relating to same (including the expected effect of the use of such instruments) is set out below at the section entitled Financial Derivative Instruments. Although the Fund may invest substantially in cash deposits, cash equivalents, certificates of deposits and/or Money Market Instruments in certain circumstances, Shares in the Fund are not deposits and are different in nature to a deposit in that the investment is not guaranteed and the value of the investment is capable of fluctuation. Investment in the Fund involves certain investment risks, including the possible loss of principal. 1 P a g e

2 1. Interpretation The expressions below shall have the following meanings: Business Day means each day on which banks in Dublin and London are open. Additional Business Days may be created by the Directors and notified to Shareholders in advance. Dealing Day means each Valuation Day and/or such other day or days as may be determined by the Directors and notified to Shareholders in advance provided that there shall be at least one Dealing Day in each fortnight. See also the section entitled Suspension of Valuation of Assets in the Prospectus. Dealing Deadline means for each Dealing Day (i) in relation to subscription requests, 11.30am (Irish time) on the Dealing Day; and (ii) in relation to redemption requests, 11.30am (Irish time) five Business Days before the relevant Dealing Day; or (iii) such other time as the Directors may determine and notify to Shareholders in advance provided always that the Dealing Deadline is no later than the Valuation Point on that Dealing Day. Initial Offer Price means the initial fixed price applicable to each relevant Share Class on the first Dealing Day of that Share Class and is shown for each share class in the section entitled 7. Information on Share Classes. Performance Fee Rate or PFR means the rate as shown in the section entitled 7. Information on Share Classes. Subscription Settlement Cut-off means three Business Days after the relevant Dealing Day; Valuation Day means each Business Day and/or such other day or days as may be determined by the Directors. 2 P a g e

3 Valuation Point means 23:59 Irish time on the each Valuation Day or such time as the Directors may determine and notify Shareholders in advance provided that the Valuation Point shall be after the Dealing Deadline. All other defined terms used in this Supplement shall have the same meaning as in the Prospectus. 2. Base Currency The Base Currency shall be EUR. 3. Investment Objective The Fund s objective is to outperform by 1.5% per year the benchmark index, which is EONIA (Euro OverNight Index Average) (the Benchmark ). 4. Investment Policy The Fund will aim to generate positive returns by building a short duration portfolio by investment in global fixed income and interest rate markets directly or through the use of financial derivative instruments. The portfolio will primarily be comprised of futures and options (including options on futures) on government bonds as well as futures and options (including swaptions) on short-term interest rates (such as Eonia, Fed Funds and Libor). Further information in relation to the types of derivatives that may be used by the Fund is set out below under the heading Financial Derivative Instruments. For cash management purposes, the Fund may also hold cash, bonds and Money Market Instruments as further described under Cash /Liquid Assets below. The Fund may also invest in collective investment schemes as further described below under Collective Investment Schemes. Investment Strategy In order to implement the Fund s short duration strategy, the Investment Manager may buy put options on bond futures (i.e. buy the right but not the obligation, to sell an asset at a fixed or predetermined price at a point in the future) and finance the purchase of such put options by selling call options on bond futures (i.e. selling the right but not the obligation, to buy an asset at a fixed or predetermined price at a point in the future). The Investment Manager may also buy put spread ratios. A put spread ratio is a neutral strategy that involves buying a number of put options and selling more put options of the same underlying bond futures and expiration date at a 3 P a g e

4 different strike price, at the discretion of the Investment Manager. By selling a put option at a lower strike price than the strike price at which the put option in respect of the same underlying bond futures contract is purchased, this may achieve a return for the Fund when the underlying bond futures contract depreciates. By managing a portfolio of options, the Investment Manager may generate a positive return over cash when interest rates remain stable, and deliver positive performance when interest rates go up. Diversification will be achieved by spreading the short duration strategy among the G4 regions (Euroland, USA, UK and Japan). The Investment Manager will also seek to diversify the strategy across different maturities for the futures, and across different strikes and time horizons for the options. The Fund may take long or short positions on bonds through the use of futures and options. It is expected that total gross long positions will generally be approximately 600% of the Net Asset Value of the Fund and the total gross short positions will generally be approximately 600% of the Net Asset Value of the Fund provided however that the Fund will be managed to have a net short exposure to bond markets. The total gross long positions and the total gross short positions may exceed or fall below these percentages depending on changes in the Fund s investment strategy. The overall Modified Duration of the Fund (as hereinafter described) is comprised within a range from -30 to +5. The -30 corresponds to the maximum negative duration the Investment Manager can extend to on the G4 regions that have been defined above. The +5 relates to the maximum duration that may derive from the cash and money market instruments that the Fund may be invested in when there are no opportunities for short duration strategies. Modified Duration measures the impact of a change in interest rates on the Fund s valuation (i.e. it measures the Fund s sensitivity to interest rate changes). A Modified Duration close to -10 means that a 1% rise in interest rates would cause the Fund s Net Asset Value to appreciate by 10%, while a 1% fall in interest rates would cause the Fund s Net Asset Value to fall by 10%. The Investment Manager will utilise interest rate futures and options as set out below under Financial Derivative Instruments in order to manage the Modified Duration of the Fund. The Investment Manager will implement the following investment strategies in seeking to gain exposure to fixed income markets and in relation to currency management: Fixed income duration management: 1. Management of the Fund s exposure to G4 government fixed income markets: by setting the Fund s negative sensitivity to interest rate changes with a view to correctly anticipate increase in interest rates across the G4 government fixed income markets, the Fund will seek to outperform the Benchmark; 4 P a g e

5 2. Management of the Fund s exposure to the yield curve segments of the G4 government fixed income markets: by allocating the Fund s negative sensitivity to interest rate changes with a view to correctly anticipate increases in interest rates across the four separate yield curve segments of the G4 bond markets, the Fund will seek to outperform the Benchmark. The short modified duration of the Fund will be allocated across the short-dated 1-3 year maturity segment, the intermediate 3-7 year and 7-15 year maturity segments, and the long-dated years maturity segments of the G4 government yield curves; 3. Debt instrument selection within each yield curve segment (as explained at 2. above) within each G4 issuing country; Currency management: 4. Exposure to the G4 currencies hedged back into EUR. The unhedged portion is limited to 5% of the Net Asset Value of the Fund. Types of Instruments Bonds and other Debt Securities Subject to the investment restrictions set out in Appendix 1, the Fund may invest directly or indirectly (through the use of derivative instruments, as set out further below under the heading Financial Derivative Instruments ) in bonds and other debt securities of governments of various types and maturities, including, for example, fixed rate, floating rate and variable rate notes, bonds, coupon-bearing and deferred interest instruments (such as zero coupon bonds). Up to 20% of the net assets of the Fund may be invested in Mortgage Backed Securities or in Asset Backed Securities denominated in euro (as described further below). Within this 20% limit, the Fund may be exposed up to 10% of its net assets in ABS or MBS that may not be rated at the time of issuance or whose issuer may not be rated at the time of issuance. As these securities may embed a derivative element as provided for in the Fund s risk management process (such as an interest rate swap, that converts fixed rate payments from the underlying assets to floating rate payments or vice versa), any leverage arising from investment in such securities will be accurately monitored, measured and managed in accordance with the risk management process in place for the Fund. Asset-Backed/Mortgage-Backed Securities (ABS/MBS) Asset-backed securities (ABS) are securities made up of pools of debt securities and securities with debt like characteristics and are backed by a pool of assets, such as auto, student, home equity and other loans, credit card receivables or similar, which provide funds for interest payments to the ABS investors and for the repayment of the invested principal. In case of 5 P a g e

6 mortgage-backed securities (MBS), the securities are secured by a pool of commercial and residential mortgages. One of the main purposes of ABS/MBS is to re-allocate credit and prepayment risks among the investors, which is achieved by creating different tranches within the securities that have a senior-subordinated structure as regards the credit and prepayment risks. Ratings Up to 10% of the net asset value of the Fund may be invested in below investment grade securities and investors attention is drawn to the Risk Factors Section of the Prospectus. Recognised Exchanges With the exception of permitted investments in unlisted transferable securities, investment by the Fund in assets with exposure to the above markets will be restricted to those listed on the Recognised Exchanges as listed in Appendix II to the Prospectus. Currency Exposure The Fund may have currency exposure which the Investment Manager may hedge through the use of foreign exchange spot, options and forward contracts provided however that, as set out above, it is intended that the unhedged portion of the Fund shall be limited to 5% of the Net Asset Value of the Fund. Cash / Liquid Assets The Fund will at all times consider market valuations and the prevailing investment climate. Should the Investment Manager perceive the investment climate to be negative, the Fund may retain substantial amounts in cash or ancillary liquid assets (including short term Money Market Instruments and cash deposits) pending investment or reinvestment. Such Money Market Instruments shall be rated investment grade (BBB- or greater) (or equivalent) by Standard & Poor s, Moody s or Fitch. In addition, the Fund may hold cash due to recent subscriptions pending investment or in anticipation of future redemptions. The amount of cash and /or cash equivalents that the Fund will hold will vary depending on the foregoing circumstances, however it is possible that up to 100% of the Net Asset Value of the Fund may be held in Money Market Instruments at any time. Investors should note the difference between the nature of a deposit and the nature of an investment in the Fund, in particular the risk that the principal invested in the Fund is capable of fluctuation and thus Shareholders may not have all of their principal returned to them on redemption. In addition, investment into the Fund will not benefit from any deposit protection scheme such as might be applicable to an investment in a deposit. 6 P a g e

7 Collective Investment Schemes Any investment in collective investment schemes will be limited to 10% of the Net Asset Value of the Fund. Such schemes may include other UCITS funds which fall within the requirements set out in the Central Bank s guidance and the level of protection of which is equivalent to that provided to unitholders of a UCITS. The Fund will only invest in such schemes primarily when such investment is consistent with the Fund s primary investment focus. The collective investment schemes in which the Fund may invest may be managed by the Investment Manager or by an affiliated entity. Financial Derivative Instruments The Fund may utilize financial derivative instruments ( FDI ) for investment purposes and/or efficient portfolio management and/or to protect against foreign exchange risks as further set out below, subject always to the conditions and within the limits laid down by the Central Bank. These techniques and instruments shall comprise futures, options, swaps (interest rate swaps, exchange rate swaps and swaptions) and forwards. These instruments may be exchange traded or over-the-counter in accordance with the limitations and requirements of the Central Bank. Futures The Fund may, subject to the conditions and limits laid down by the Central Bank, enter into foreign exchange futures, interest rate futures and bond futures. Futures are contracts in standardised form between two parties entered into on an exchange, whereby one party agrees to sell to the other party an asset at a price fixed at the date of the contract, but with delivery and payment to be made at a point in the future. The Fund may use these techniques for investment purposes (as a more efficient or cost effective mechanism of getting exposure to underlying bond and currency markets) and/or efficient portfolio management and/or to hedge against changes in (i) exchange rates (ii) interest rates and (ii) securities prices. Options The Fund will, subject to the conditions and limits laid down by the Central Bank, purchase and sell call and put options. The Fund may use bond options, interest rate options and foreign exchange options. Options are contracts, which can be entered into on-exchange or offexchange, whereby one party gets the right, but not the obligation, to buy or sell an asset at a fixed or predetermined price at a point in the future. For example, the Fund may purchase put options to provide an efficient, liquid and effective mechanism for "locking in" gains and/or protecting against future declines in value on debt securities / currencies that it owns. This allows the Fund to benefit from future gains in the value of a debt security / currency without the risk of the fall in value of such security/ currency. The Fund may also purchase call options to provide an efficient, liquid and effective mechanism for taking positions in debt securities / currencies. This allows the Fund to benefit from future gains in the value of a security / currency without the need 7 P a g e

8 to purchase and hold the security/currency. The Fund may use these techniques for investment purposes and/or efficient portfolio management and/or to hedge against changes in (i) exchange rates (ii) interest rates and (iii) securities prices. Swaps The Fund may, subject to the conditions and limits laid down by the Central Bank, utilize swap contracts (interest rate swaps, exchange rate swaps and swaptions). Swaps are contracts eentered into off exchange, which are variations of forward contracts whereby two parties agree to exchange a series of future cash flows; such contracts are generally extensively tailored to meet the needs of one or other of the parties with respect to such matters as frequency of settlement, initial payments and consequences of default. An interest rate swap is an agreement negotiated between two parties to exchange fixed or floating cash flow streams typically referencing a particular interest rate calculated on specified notional amounts at specified dates during the life of the swap. The use of interest rate swaps may allow the interest rate sensitivity of the Fund to be changed faster or more cheaply than through the use of physical cash markets or more precisely than through exchange traded derivative markets. They may also be used to express views on the direction of interest rate movements. For example in order to protect against falling interest rates in Europe, the Investment Manager may choose to enter into a Euro rates receiver swap, whereby the Fund receives a fixed swap rate in EUR against paying Euribor. The Fund may utilise exchange rate swap contracts. An FX swap is an agreement between two parties to exchange different currencies at the beginning and at the end of the life of the swap. FX swaps may be used as an alternative to spot and forward foreign exchange contracts. For example in order to protect against USD depreciating against EUR, the Investment Manager may choose to enter into an FX swap, whereby the Fund pays a fixed USD amount against receiving a fixed EUR amount at maturity. Swaptions A swaption (swap option) is the option to enter into an interest rate swap or some other type of swap. In exchange for an option premium, the buyer gains the right but not the obligation to enter into a specified swap agreement with the issuer on a specified future date. Forwards Forward currency contracts may, subject to the conditions and limits laid down by the Central Bank, be used to hedge currency exposures of the Fund or any class in accordance with the requirements of the Central Bank. Such currency exposure will arise where the assets in which the Fund invests are denominated in a different currency than the Base Currency of the Fund or the designated currency of the relevant Class 8 P a g e

9 Recognised Exchanges With the exception of permitted investments in unlisted transferable securities, investment by the Fund is restricted to the Recognised Exchanges as listed under Appendix II to the Prospectus. FDIs may be traded on Recognised Exchanges worldwide or may be traded over the counter. The Investment Manager will only enter into over the counter derivative transactions on behalf of the Fund with counterparties which consist of leading credit institutions subject to prudential supervision and which belong to categories approved by the Central Bank as set down in the Regulations. FDI Costs Investors should be aware that when the Fund enters into FDI contracts (including those used for currency hedging as described in greater detail below) operational costs and/or fees shall be deducted from the revenue delivered to the Fund. Such fees and costs may include financing fees and in the case of FDI which are listed on Recognised Exchanges and/or centrally cleared, such fees and costs may include brokerage, exchange and clearing house fees. One of the considerations taken into account by the Investment Manager when selecting brokers and counterparties to FDI transactions on behalf of the Fund is that any such costs and/or fees which are deducted from the revenue delivered to the Fund shall be at normal commercial rates and shall not include any hidden revenue. Such direct or indirect costs and fees will be paid to the relevant broker or counterparty to the FDI transaction, which, in the case of FDI used for currency hedging purposes, may include the Depositary or entities related to the Depositary. The identity of the entities to which such direct and indirect costs and fees are paid shall be disclosed in the annual financial statements of the ICAV. All revenues generated through the use of FDI and/or Repurchase/Reverse Repurchase agreements and stock lending, net of direct and indirect operational costs and fees will be returned to the Fund. Collateral Policy Where necessary, the Fund will accept collateral from its counterparties in order to reduce counterparty risk exposure generated through the use of over the counter derivative instruments. Any collateral received by the Fund shall comprise of cash collateral and/or securities of varying maturity which satisfy the requirements of the Central Bank relating to non-cash collateral which may be received by a UCITS. The collateral provided shall be required to have an initial market value at least equal to such amount as determined by the Directors, depending on the nature of the derivative instruments and counterparty exposure. 9 P a g e

10 The Fund will favour using cash as collateral. If it were to use non-cash as collateral, the Investment Manager would typically only accept non-cash collateral that does not exhibit high price volatility and, therefore, a haircut policy is not required. If the Fund did accept non-cash collateral that exhibited high price volatility, then the Investment Manager would negotiate appropriate haircuts taking into account such factors as the issuer credit quality and price volatility of the collateral and, where relevant, the outcome of any stress tests. The haircut policy applied to posted collateral will vary depending on the class of asset received from the counterparty but will generally range from 100% to 115% depending on the jurisdiction of account and portfolio security. Cash collateral received by the Fund may be reinvested in accordance with the requirements of the Central Bank at the discretion of the Investment Manager. In this regard, any cash collateral received by the Fund may also be placed on deposit with relevant credit institutions as permitted by the UCITS Regulations. In such circumstances, the Fund shall be exposed to the creditworthiness of the relevant credit institution with which cash collateral is placed. Leverage As a result of its use of financial derivative instruments, the Fund may leverage its positions to generate a notional exposure in excess of the Net Asset Value of the Fund. The Value-at-Risk ( VaR ) methodology is an advanced risk measurement methodology which attempts to predict, using historical data, the likely scale of losses that might be expected to occur over a given period of time. In order to measure market risk volatility, the Fund will use an absolute Value at Risk methodology ( VaR ) which is an advanced risk measurement methodology. The VaR approach is a measure of the maximum potential loss due to market risk rather than leverage. More particularly, the VaR approach measures the maximum potential loss at a given confidence level (probability) over a specific time period under normal market conditions. The VaR of the Fund will not be greater than 15%. The VaR for the Fund will be calculated daily using a one-tailed 99% confidence level, a 20 day holding period and the historical period will not be less than one year unless a shorter period is justified. The Fund shall, at all times, comply with the limits on levels of market risk measured through the use of the Value at Risk methodology as set out above. It is expected that the use of financial derivative techniques and instruments will not increase the Fund s risk level. VaR methods rely on a number of assumptions about the forecasting of investment markets and the ability to draw inferences about the future behaviour of market prices from historical movements. If those assumptions are incorrect by any significant degree, the size and frequency of losses actually incurred in the investment portfolio may considerably exceed those predicted by a VaR model (and even a small degree of inaccuracy in the forecasting models used can produce large deviations in the forecast produced). VaR does enable a comparison of risks across asset classes and serves as an indicator to a portfolio manager of the investment risk in a portfolio. If used in this way, and with an eye to the limitations of VaR methods and the particular model 10 P a g e

11 chosen, it can act as a signal to the Investment Manager of an increase in the general level of risk in a portfolio and as a trigger for corrective action by the Investment Manager. The measurement and monitoring of all exposures relating to the use of derivative instruments will be performed on at least a daily basis. The requirements of the European Securities and Markets Authority ( ESMA ) and the Central Bank prescribe in detail disclosures which need to be made in respect of leverage. Although the VaR methodology as described above is used to control and assess the Fund s exposures, the Fund also calculates leverage based on the sum of the notionals of the derivatives used as is required by the Central Bank. Generally, the level of leverage for the Fund arising from the use of FDIs calculated on this basis is expected to be between 100% and 3,000% of the Net Asset Value of the Fund but may be higher on occasion. It is expected that typically this level will be approximately between 500% and 1500%. The wide range of expected level of leverage (i.e. between 100% and 3,000% of the Net Asset Value of the Fund) is due to the asset classes and corresponding FDI which will from time to time be utilised by the Investment Manager by virtue of its investment strategy. This measure of leverage can be high as it includes positions implemented to adjust existing positions as a result of market movements or subscription/redemption activity and it does not take into account any netting or hedging arrangements even though such arrangements are entered into for the purposes of risk reduction. In particular short-dated interest rate instruments or options may increase such leverage number, since a higher notional is required to generate the desired exposure due to the low duration/sensitivity of such instruments. The Investment Manager will not utilise FDI other than those listed above until such time as a revised risk management process has been prepared, submitted to and cleared by the Central Bank. Risks associated with the use of FDI are detailed in the Prospectus at the section entitled Risk Factors. Currency Hedging Foreign exchange transactions may be used for currency hedging purposes. A Share Class of the Fund which is denominated in a currency other than the Base Currency may be hedged against exchange rate fluctuation risks between the denominated currency of the Share Class and the Base Currency of the Fund. The Investment Manager may attempt to mitigate the risk of such fluctuation by using FDI, namely forward currency contracts, for currency hedging purposes subject to the conditions and within the limits laid down by the Central Bank. It is not the current intention of the Investment Manager to hedge the existing Share Classes of the Fund. 11 P a g e

12 Borrowing Powers The ICAV may only borrow on a temporary basis and the aggregate amount of such borrowings may not exceed 10% of the Net Asset Value of the Fund. Subject to this limit, the Directors may exercise all borrowing powers on behalf of the Fund. In accordance with the provisions of the UCITS Regulations, the Directors may instruct that the Depositary may charge the assets of the Fund as security for such borrowings. 5. Profile of a Typical Investor The Fund is geared towards investors seeking a performance linked to the next rises in global interest rates while benefiting from a carry in excess of its benchmark over an investment period of three years. The amount that it is appropriate to invest in the Fund will depend on the personal situation of each investor. To determine this amount, investors should consider their personal assets, the applicable regulations, their current and future financial needs over the recommended investment period and the level of risk they are prepared to accept. Investors are strongly advised to diversify their assets so that they are not exposed solely to the risks of this Fund. 6. Offer Initial Offer Shares in the Fund will be offered from 9 a.m. (Irish time) on the 1 st December, 2016 to 5pm (Irish time) on the 1 st June, 2017 (the Initial Offer Period ) at the Initial Offer Price and subject to acceptance of applications for Shares by the ICAV and will be issued for the first time as at the Dealing Day on or after expiry of the Initial Offer Period. The Initial Offer Period may be shortened or extended by the Directors. The Central Bank will be notified in advance of any such shortening or extension if subscriptions for Shares have been received and otherwise on an annual basis. Subsequent Offer After closing of the Initial Offer Period Shares in the Fund will be issued at the Net Asset Value per Share. Please see the section entitled Application for Shares for more information regarding the cost of shares. 7. Information on Share Classes The following Share Classes are available in the Fund at the initial offer prices set out below: Share Class Initial Offer Price 12 P a g e

13 Class I EUR EUR 100 Class I USD (Hedged) USD 100 Class I GBP (Hedged) GBP 100 Class I CHF (Hedged) CHF 100 Class I SGD (Hedged) SGD 100 Class I JPY (Hedged) JPY100 Class D EUR EUR 100 Class D USD (Hedged) USD 100 Class D GBP (Hedged) GBP 100 Class D CHF (Hedged) CHF 100 Class D SGD (Hedged) SGD 100 Class D JPY (Hedged) JPY100 Class R Shares are primarily aimed at retail investors whereas Class I and D Shares are primarily aimed at institutional investors. Classes may differ amongst other things on the basis of the Investment Manager's Fee and Performance Fee applicable to these Classes. Further information in relation to fees is set out below at Section 13 entitled Fees and Expenses. The following features apply to each Share Class: Unit classes Base currency Initial Subscription Minimum subsequent subscription Investment Management Fee Rate Performance Fee Rate I EUR EUR EUR100, of a share 0.25% I USD (Hedged) I GBP (Hedged) I CHF (Hedged) I SGD (Hedged) I JPY (Hedged USD USD100, of a share 0.25% GBP GBP100, of a share 0.25% CHF CHF100, of a share 0.25% SGD SGD 100, of a share 0.25% JPY JPY 10,000, of a share 0.25% 15% of the amount by which the relevant Class outperforms by 0.5% p.a. the relevant Benchmark (as further described in Section 13 of this Supplement) 13 P a g e

14 D EUR EUR EUR100, of a share 0.175% D USD (Hedged) USD USD 100, of a share 0.175% D GBP (Hedged) GBP GBP100, of a share 0.175% D CHF (Hedged) CHF CHF100, of a share 0.175% D SGD (Hedged) SGD SGD 100, of a share 0.175% D JPY (Hedged) JPY JPY 10,000, of a share 0.175% 8. Initial Subscription and Minimum Holding Size Each investor must satisfy the Initial Subscription and Minimum Subsequent Subscription requirements applicable to the relevant Class as outlined above. There is no Minimum Holding applicable to the relevant Class. The Directors reserve the right to differentiate between Shareholders and to waive or reduce the Initial Subscription and Minimum Subsequent Subscription for certain investors. 9. Application for Shares Applications for Shares may be made through the Administrator through the process described in the Prospectus. 10. Redemption of Shares Requests for redemption of Shares may be made through the Administrator through the process described in the Prospectus. 11. Conversion of Shares Subject to the Initial Subscription and Minimum Holding requirements of the relevant Classes, Shareholders may request conversion of some or all of their Shares in one Fund of the ICAV or Class to Shares in another Fund of the ICAV or Class or another Class in the Fund in accordance with the procedures specified in the Prospectus under the heading Conversion of Shares. 14 P a g e

15 Conversion Charge It is not currently intended to impose a conversion charge on the conversion of Shares in any Class to Shares in another Class of a Fund. 12. Suspension of Dealing Shares may not be issued, redeemed or converted during any period when the calculation of the Net Asset Value of the Fund is suspended in the manner described in the Prospectus under the heading Suspension of Valuation of Assets. Applicants for Shares and Shareholders requesting redemption and/or conversion of Shares will be notified of such suspension and, unless withdrawn, applications for Shares will be considered and requests for redemption and/or conversion will be processed as at the next Dealing Day following the ending of such suspension. 13. Fees and Expenses The Fund shall bear its attributable portion of the fees and operating expenses of the ICAV. The fees and operating expenses of the ICAV are set out in detail under the heading "Fees, Charges and Expenses" in the Prospectus. Establishment Expenses The Fund shall bear the fees and expenses attributable to its establishment, which are estimated at EUR 20,000. Such establishment expenses may be amortised over the first five Accounting Periods of the Fund in such manner as the Directors in their absolute discretion deem fair. Subscription Fee Subscription Fees will be charged at the discretion of the Directors as outlined in the Prospectus in the section entitled Definitions. Redemption Fee Redemption Fees will be charged at the discretion of the Directors as outlined in the Prospectus in the section entitled Definitions. It is not currently intended to charge a redemption fee. Investment Manager s Fee Pursuant to the Investment Management Agreement, the Investment Manager is entitled to charge a maximum investment management fee equal to a per annum percentage of the Net Asset Value of each Class. The Investment Management Fee Rate per annum for each Class is shown above in the section entitled Information on Share Classes. Any investment 15 P a g e

16 management fees levied will also be subject to the imposition of Value Added Tax ( VAT ) if required. The fee will be calculated and accrued daily using the Investment Management Fee Rate applied pro rata to the Net Asset Value of each Class at the relevant Valuation Point, such Net Asset Value adjusted so as to be calculated before any deduction in respect of any accrued Performance Fees, but after the deduction of all other operating and other expenses and liabilities of the Fund for that month. The Investment Management Fee is payable on the first Business Day of each calendar month. The Investment Manager shall be entitled to be reimbursed by the ICAV for reasonable out of pocket expenses incurred by it and any VAT on all fees and expenses payable to or by it. Performance Fee The ICAV will pay the Investment Manager a performance fee (the Performance Fee ) in relation to each Class in respect of each Performance Period (as defined below). The Performance Fee Rate (the PFR ) of each Class is shown above in the section entitled Information on Share Classes. In the event that the ICAV is liquidated, or the Fund or the Investment Management Agreement is terminated prior to the end of a Performance Period, the Performance Fee will be computed as though the effective date of the liquidation of the ICAV or termination of the Fund or the Investment Management Agreement, as appropriate, was the end of the Performance Period. The Performance Fee is charged separately against each Class, and may be waived or reduced in respect of any Share Class with the Directors' approval. Performance Fee Calculation The Investment Manager shall be entitled to a performance fee in respect of each Class of Shares in the Fund accrued daily and payable annually in arrears at the end of each 12 month period ending on 30 September in each year and calculated in the following manner: 1) Each Performance Fee shall be determined on the basis of a performance period in respect of each Share Class (each such period, the "Performance Period"). Each Performance Period is for 12 month periods, commencing on 1 October and terminating on 30 September in each year. The first Performance Period in respect of each Share Class shall commence on the Business Day following the launch of the relevant Share Class and shall terminate on the 30 September following such launch date. 2) The High Water Mark (HWM) in respect of each Share Class is the higher of: 16 P a g e

17 (i) the Initial Offer Price at inception; and (ii) the latest NAV per Share Class on which, in respect of the relevant Share Class, a performance fee was paid. 3) Every Business Day, the Net Asset Value of each Share Class of the Fund (net of fixed fees but before Performance Fees) is compared to the Reference Net Asset Value per Share Class. The Reference Net Asset Value in respect of each Share Class is the Net Asset Value per Share Class that replicates the subscriptions/redemptions in and out of the relevant Share Class of the Fund and that is increased by the performance of the Benchmark (as defined below) +0.5% per annum. 4) The relevant Benchmark for each Share Class of the Fund is as follows: Eonia (Euro OverNight Index Average). 5) The sum of the daily difference between the relevant Net Asset Value per Share Class and the Reference Net Asset Value per Share Class is referred to as the daily Performance Fee Provision. 6) When the Performance Fee Provision is positive (i.e. outperformance of the Benchmark) and provided the Net Asset value per Share Class simultaneously exceeds the relevant HWM (i.e. both conditions must be fulfilled), then a performance fee is paid and the Performance Fee Provision is multiplied by 15%, and deducted from the relevant Net Asset Value per Share Class PROVIDED THAT any underperformance of the relevant Share Class against the Benchmark in preceding Performance Periods (as at 30 September in each year) shall be clawed back (cleared) before a performance fee becomes due in subsequent periods. 7) When the Performance Fee Provision is negative (i.e. underperformance of the Benchmark), then the Performance Fee Provision is multiplied by 0% and thus does not impact the Net Asset Value per Share Class; in this situation no performance fee is paid. 8) The Performance Fee Provision accrued over the year is debited at the end of each Performance Period, namely end of September. 9) In the event that a Shareholder redeems all or any of his Shares other than at the end of a Performance Period, any Performance Fee that has accrued in relation to such redeemed Shares from the beginning of the relevant Performance Period until the date of redemption, shall be payable to the Investment Manager as soon as reasonably practicable following such redemption(s). The performance fee shall be calculated by the Administrator (subject to verification by the Depositary). Included in the calculation of the performance fee shall be net realised and unrealised capital gains plus net realised and unrealised capital losses as at the end of the relevant 17 P a g e

18 Performance Period. As a result, performance fees may be paid on unrealised gains which may subsequently never be realised. Administrator s Fees The Administrator shall be entitled to receive out of the assets of the Fund an annual fee which will not exceed 0.03% of the Net Asset Value of the Fund (plus VAT, if any), accrued and calculated on each Valuation Point and payable monthly in arrears, subject to a minimum annual fee of EUR 15,000. The Administrator shall also be compensated out of the assets of the Fund for other services, including inter alia account set-up, account maintenance, company secretarial services, preparation of financial statements of the ICAV, registration and transaction fees, each of which shall be at normal commercial rates together with VAT, if any, thereon. The Administrator shall also be entitled to reimbursement of all reasonable and vouched out-ofpocket expenses (plus any applicable taxes) it incurs out of the assets of the Fund. Depositary Fees The Depositary shall be entitled to receive out of the assets of the Fund an annual fee not exceeding 0.01% of the Net Asset Value of the Fund (plus VAT, if any), accrued and calculated on each Valuation Point and payable monthly in arrears, subject to a minimum annual fee of EUR 8,000. The Depositary shall also be entitled to be repaid out of the assets of the Fund for all of its reasonable disbursements incurred on behalf of the Fund, including the safe-keeping fees and expenses of any sub-custodian (which shall be at normal commercial rates) and transaction charges (which shall also be at normal commercial rates) levied by the Depositary or any subcustodian and any applicable taxes it incurs on behalf of the Fund. Such custody fees shall accrue and be payable monthly in arrears. Anti-Dilution Levy An Anti-Dilution Levy may be charged at the discretion of the Directors as outlined in the Prospectus in the section entitled Anti-Dilution Levy. 14. Dividends and Distributions Accumulating Share Classes Each Share Class of the Fund is an accumulating Share Class. All net income and net realised and unrealised gains (i.e. realised and unrealised capital gains net of all realised and unrealised 18 P a g e

19 losses) less accrued expenses of the Fund attributable to the relevant Class will be accumulated and reflected in the Net Asset Value per Share. The Directors may at any time determine to change the policy of the Fund with respect to dividends distribution. If the Directors so determine full details of any such change will be disclosed in an updated prospectus or supplement and Shareholders will be notified in advance. 15. Risk Factors The attention of investors is drawn to the Risk Factors section in the Section of the Prospectus entitled The ICAV. 19 P a g e